Concentrated matrix Langevin distributions

Yasuko Chikuse

Journal of Multivariate Analysis, 2003, vol. 85, issue 2, 375-394

Abstract: This paper concerns the matrix Langevin distributions, exponential-type distributions defined on the two manifolds of our interest, the Stiefel manifold Vk,m and the manifold Pk,m-k of mxm orthogonal projection matrices idempotent of rank k which is equivalent to the Grassmann manifold Gk,m-k. Asymptotic theorems are derived when the concentration parameters of the distributions are large. We investigate the asymptotic behavior of distributions of some (matrix) statistics constructed based on the sample mean matrices in connection with testing hypotheses of the orientation parameters, and obtain asymptotic results in the estimation of large concentration parameters and in the classification of the matrix Langevin distributions.

Keywords: Stiefel; manifold; Grassmann; manifold; Orthogonal; projection; matrix; Asymptotics; for; large; concentrations; Matrix; Langevin; distributions; Hypergeometric; functions; with; matrix; arguments (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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